STANLIB Multi-Strategy Stochastic Modelling

Frontier Report: TEST

We use an adjusted empirical copula to generate 10000 simulated 260-week portfolio return paths. An empirical approach was selected to maintain higher-moments and historical returns are scaled to for forward estimates of prospective returns and volatility. Historical sample size was 895-weeks; multi-factor regression models may be applied to extend timeseries of assets with short histories.

Portfolio Weights & Ex-Ante Risk & Return Information

Bootstrapped Simulations

Note: Std within descriptive statistics refers to the standard deviation of the simulated returns at period-X which is not the expected volatility of the portfolio.

Note: Funnel chart shows the inter-quartile range of simulated returns with respect to time.

Portfolio Timeseries Modelling

Our focus through Frontier analysis is on comparing terminal outcome distributions at the 260-week point. Here we consider the potential experience of individual portfolios with respect to time.

Portfolio Report: MS2_v3

Portfolio Report: MS3_v3

Portfolio Report: MS4_v3

Portfolio Report: MS5_v3



Appendix

Report generated on 19 October 2020

Disclaimers